XML 22 R12.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

6 Months Ended

Jun. 30, 2023

Note 6 — Fair Value Measurements

As of June 30, 2023 and December 31, 2022, investments in the Company’s trust account consisted of U.S money market funds. The U.S. money

mark

et funds are carried at fair value and the fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets.

Recurring Fair Value Measurements

Under the guidance in

ASC815-40

the FPA does not meet the criteria for equity classification. As such, the FPA must be recorded on the balance sheet at fair value. This valuation is subject to

re-measurement

at each balance sheet date. With each

re-measurement,

the valuations will be adjusted to fair value, with the change in fair value recognized in the Company’s statements of operations.

The following table sets forth by level within the fair value hierarchy the Company’s assets and liabilities that were accounted for at fair value on a recurring basis at June 30, 2023 and December 31, 2022:

June 30, 2023


	Level 1		Level 2		Level 3
Assets
Investments held in Trust Account	$	31,989,808	$	—	$	—
Liabilities
FPA	$	—	$	—	$	3,571,298

December 31, 2022


	Level 1		Level 2		Level 3
Assets
Investments held in Trust Account	$	118,064,355	$	—	$	—
Liabilities
FPA	$	—	$	—	$	2,708,717

Measurement

On June 30, 2023 and December 31, 2022, the Company used a Probability Weighted Expected Return (PWER) model to value the FPA liability.

The key inputs into the modified PWER model for the FPA liability were as follows:


Input	June 30, 2023			December 31, 2022
Probability of successful business combination		85	%		85	%
Likelihood by 04/30/2023		—	%		15	%
Likelihood by 06/30/2023		—	%		15	%
Likelihood by 8/31/2023		—	%		—	%
Likelihood by 10/31/2023		—	%		70	%
Likelihood by 12/31/2023		50	%		—	%
Likelihood by 03/31/2024		50	%		—	%
Risk-free rate		5.45	%		4.75	%
Stock price	$	10.50		$	10.11
Estimated term remaining (years)		0.63			0.71

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for the FPA liability classified as Level 3 for the year ended June 30, 2023 and December 31, 2022:


Fair Value at December 31, 2022	$	2,708,717
Change in fair value		219,842

Fair Value at March 31, 2023	$	2,928,559
Change in fair value		642,739

Fair Value at June 30, 2023	$	3,571,298

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details